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Publication Year:
2023
Tags:
high- dimensional factor models
Eric Hillebrand
;
Jakob Guldbæk Mikkelsen
;
Lars Spreng
;
Giovanni Urga
Exchange rates and macroeconomic fundamentals (replication data)
We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor...
DOI:10.15456/jae.2023101.1051087142
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